Estimating the self-similar exponent of broad-sense self-similar processes

descriptionPublicationkeyboard_double_arrow_right Article 01 Feb 2016 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 444, pages 654-659 (issn: 0378-4371,

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Authors: Jing Zheng; Guijun Zhang; Changqing Tong;

doi: 10.1016/j.physa.2015.10.074

Estimating the self-similar exponent of broad-sense self-similar processes

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Abstract

Abstract In this paper, a new algorithm about the self-similar exponent of self-similar processes is introduced which is used to explore long memory in financial time series. This method can work for more general broad-sense self-similar processes. We prove that this algorithm performs much better than the classical methods.

Related Organizations

Hangzhou Dianzi University
China (People's Republic of)
Institute of Applied Physics and Computational Mathematics
China (People's Republic of)

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